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Large asymmetry and directional dependence by using copula modeling to currency exchange rates.

Daiho UhmJong-Min KimYoon-Sung Jung
Published in: Model. Assist. Stat. Appl. (2012)
Keyphrases
  • currency exchange
  • exchange rate
  • dependence structure
  • real time
  • modeling framework
  • data sets
  • probability distribution
  • monte carlo simulation